This module allows you to analyze existing cross correlation between Nasdaq and NYSE. You can compare the effects of market volatilities on Nasdaq and NYSE and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Nasdaq with a short position of NYSE. See also your portfolio center. Please also check ongoing floating volatility patterns of Nasdaq and NYSE.
Assuming 30 trading days horizon, Nasdaq is expected to under-perform the NYSE. In addition to that, Nasdaq is 1.51 times more volatile than NYSE. It trades about -0.19 of its total potential returns per unit of risk. NYSE is currently generating about -0.22 per unit of volatility. If you would invest 1,309,198 in NYSE on September 19, 2018 and sell it today you would lose (63,471) from holding NYSE or give up 4.85% of portfolio value over 30 days.
Overlapping area represents the amount of risk that can be diversified away by holding Nasdaq and NYSE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NYSE and Nasdaq is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Nasdaq are associated (or correlated) with NYSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NYSE has no effect on the direction of Nasdaq i.e. Nasdaq and NYSE go up and down completely randomly.
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